Integrated Wishart bridge processes and generalised Hartman-Watson law

2020/11/15 by Leung, Jason
#60H30 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2011.07422

Abstract

This article is concerned with the joint law of an integrated Wishart bridge process and the trace of an integrated inverse Wishart bridge process over the interval [0,t] . Its Laplace transform is obtained by studying the Wishart bridge processes and the absolute continuity property of Wishart laws.

Related

• Laguerre Process and Generalised Hartman-Watson Law
• The explicit Laplace transform for the Wishart process
• Wishart processes : mean-field limit, long time behavior, and free probability
• Wishart Processes
• Infinite-dimensional Wishart-processes